Measuring the subprime crisis contagion: evidence of change point analysis of copula functions

DOI10.1016/J.EJOR.2012.04.004zbMath1253.91186OpenAlexW2031298242MaRDI QIDQ1926916

Wuyi Ye, Xiaoquan Liu, Baiqi Miao

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.04.004

zbMATH Keywords

risk managementtail dependencefinancial contagioncredit crunchchange point testsArchimedean copula functions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)

Related Items (12)

Construction of asymmetric copulas and its application in two-dimensional reliability modelling ⋮ The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach ⋮ Smooth nonparametric Bernstein vine copulas ⋮ A comparison of tail dependence estimators ⋮ Loss function-based change point detection in risk measures ⋮ Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods ⋮ Copula theory and probabilistic sensitivity analysis: is there a connection? ⋮ Liquidity tail risk and credit default swap spreads ⋮ Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios ⋮ Time-varying quantile association regression model with applications to financial contagion and VaR ⋮ Measuring contagion of subprime crisis based on MVMQ-CAViaR method ⋮ Pricing and risk management of interest rate swaps

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